De-monetisation, inflation and coffee: the demand for money in Uganda

This paper investigates the recent macroeconomic history ofUganda using time series models for the demand for the threemain monetary aggregates. A collapse of income and high inflationled to de-monetisation. The flight from currency and demanddeposits was limited by their use for transactions, but demandfor time and savings deposits was largely a function of inflation.The role of the exchange rate and the price of coffee in determiningan asset demand for money was mixed. Re-monetisation since thelate 1980s has been slower than de-monetisation.     

One day in the life of a very common stock

Using the model structure of Easley and O'Hara (Journal of Finance,47, 577-604), we demonstrate how the parameters of the market-maker'sbeliefs can be estimated from trade data. We show how to extractinformation from both trade and no-trade intervals, and howintraday and interday data provide information. We derive andevaluate tests of model specification and estimate the informationcontent of differential trade sizes. Our work provides a frameworkfor testing extant microstructure models, shows how to extractthe information contained in the trading process, and demonstratesthe empirical importance of symmetric information models forasset prices.     

The dynamics of portfolio management contracts

We consider the multiperiod relationship between a client anda portfolio manager and the resulting problem of motivatinga manager of unknown ability to acquire valuable information.We explore the contractual form and the optimal retention policyof the client and find that the optimal initial set of contractsfeatures a smaller performance based fee component paid to themanager than in a first-best contract, and the contract choiceelicits only partial information about the manager. As a result,ex post performance measurement is critical to future recontracting.In general, managers are retained only if the returns on theirportfolio exceed the benchmark by an appropriate amount.